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Markov decision processes and determining the exchange rate

Author

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  • Slawomir Mentzen

    (Wydzial Nauk Ekonomicznych i Zarzadzania UMK)

Abstract

The paper describes the theoretical foundations of Markov decision processes (MDP), presents the exchange market located in Torun's Old Town, with particular emphasis on tested exchange, and describes a simple model for an exchange, which was examined using the MDP. As a result, found the optimal policy for determining the exchange rate for two currencies - the euro and the dollar.

Suggested Citation

  • Slawomir Mentzen, 2011. "Markov decision processes and determining the exchange rate," Acta Universitatis Nicolai Copernici, Ekonomia, Uniwersytet Mikolaja Kopernika, vol. 42, pages 23-36.
    • Handle: RePEc:cpn:umkanc:2011:p:23-36
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